Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0505 |
| Annualized Std Dev | 0.1955 |
| Annualized Sharpe (Rf=0%) | 0.2585 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5240.0000 |
| NAs | 1.0000 |
| Minimum | -0.1157 |
| Quartile 1 | -0.0047 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0059 |
| Maximum | 0.1110 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.1608 |
| Kurtosis | 10.3233 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0098 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.5651 |
| Historical VaR (95%) | -0.0191 |
| Historical ES (95%) | -0.0299 |
| Modified VaR (95%) | -0.0180 |
| Modified ES (95%) | -0.0272 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-03-11 | -0.5651 | 1363 | 355 | 1008 |
| 2000-09-05 | 2002-10-09 | 2007-05-18 | -0.4869 | 1684 | 525 | 1159 |
| 2020-02-20 | 2020-03-23 | 2020-08-18 | -0.3390 | 126 | 23 | 103 |
| 2018-09-21 | 2018-12-24 | 2019-04-29 | -0.2018 | 150 | 65 | 85 |
| 2015-05-22 | 2016-02-11 | 2016-07-12 | -0.1446 | 287 | 183 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 1.6 | 0.9 | 0.8 | 0 | -1.6 | -0.5 | -0.3 | -1.5 | -0.5 |
| 2001 | 0.6 | 0.4 | 1.2 | 1.6 | 0.9 | -0.1 | 0.7 | 0.9 | 0.2 | 2.4 | -0.2 | -1.5 | 7.3 |
| 2002 | -0.6 | 2.4 | 0.3 | 1.1 | 0 | -1.9 | -3.1 | -0.4 | 4.7 | 1.9 | -0.6 | 0.2 | 4 |
| 2003 | 2 | 0.7 | 1.4 | 0 | 1.6 | 0.9 | -0.9 | 0.6 | 2.2 | -0.2 | 1 | 0 | 9.5 |
| 2004 | 0 | 1 | 0.5 | -0.7 | -0.2 | -1.4 | 0.4 | 0.1 | 1.7 | 0.3 | 1.2 | -0.3 | 2.7 |
| 2005 | 0.6 | 0.6 | -0.5 | 1.4 | 0.9 | 0.4 | -0.1 | -0.1 | 0.3 | 0 | 1.1 | -0.5 | 4.2 |
| 2006 | 0.7 | 0.9 | -0.2 | -0.7 | 1 | 0.1 | -0.4 | 0.6 | -0.2 | -0.7 | -0.2 | -0.4 | 0.4 |
| 2007 | 0.6 | -0.4 | 0.1 | 0.2 | 0.4 | -0.5 | 0.5 | 0.9 | 1 | -2.5 | 0.9 | -0.6 | 0.7 |
| 2008 | 1.6 | -2.5 | 3.7 | 1.8 | 0.1 | 0.4 | -0.6 | -1.2 | -0.8 | 1.8 | -8.7 | 1.3 | -3.6 |
| 2009 | -2.1 | -2.1 | 2.1 | 0.5 | 2.4 | 0.3 | 0.2 | -2.2 | -2.5 | -2.8 | 1.2 | -1 | -6.1 |
| 2010 | 1.6 | 1.1 | 0.7 | -1.6 | -1.7 | -0.2 | 0 | 2.9 | 0.4 | 0 | 2.2 | 0 | 5.4 |
| 2011 | 1.6 | -1.6 | 0.5 | 0.3 | -2.2 | 1.5 | -0.5 | -1 | -2.4 | -2.7 | 0 | -0.5 | -6.9 |
| 2012 | 0.8 | 0.6 | 0.4 | 0.7 | -2.3 | 2.5 | -0.2 | 0.6 | 0.4 | 1.4 | 0 | 1.8 | 6.7 |
| 2013 | 1 | 0.2 | -0.3 | -0.8 | -1.4 | 0.8 | 1.2 | -0.4 | 0.8 | 0.3 | -0.1 | 0.4 | 1.7 |
| 2014 | -0.6 | 0.2 | 0.7 | -0.1 | 0.2 | 0.7 | -0.3 | 0.3 | -1.3 | 1.1 | -0.7 | -1 | -0.9 |
| 2015 | -1.3 | -0.3 | -0.3 | 1.1 | 0.2 | 0.8 | -0.1 | -3 | 0.3 | -0.5 | 1 | -1 | -3.3 |
| 2016 | 0 | 2.4 | 0.6 | -0.5 | 0.2 | 0.3 | -0.1 | 0 | 0.8 | -0.7 | -0.4 | -0.3 | 2.2 |
| 2017 | 0.1 | 1.3 | -0.2 | 0.3 | 0.8 | 0.2 | 0.2 | 0.2 | 0.4 | 0.2 | -0.2 | -0.3 | 2.8 |
| 2018 | -0.1 | -1.3 | 1.4 | 0.2 | 1 | 0.1 | -0.1 | 0.1 | 0.4 | 1 | 0.7 | 0.9 | 4.2 |
| 2019 | 0.1 | 0.7 | 1.2 | -0.7 | -1.3 | 0.9 | -0.9 | 0 | -1.2 | 1 | -0.4 | 0.2 | -0.5 |
| 2020 | -1.8 | -0.9 | -4.5 | -2.6 | 0.5 | 0.7 | 0.8 | 0.9 | 0.6 | -1.1 | 1.1 | 0.6 | -5.7 |
| 2021 | 1.6 | 2.4 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
